Cointegration among different capital markets is usually affected and changed by some significant events. According to the two turning points of the capital markets in China, Southeastern Financial Crisis and the opening of B-Shares to the mainland investors, this paper has examined the co-integrative relationship among HongKong Red Chips, H shares and the mainland stock market of the three sub periods divided from 3 July 1994 to 31 October 2003 by using Johansen Multivariate Co-integration Test. It was turned out that there has existed long-term stable co-integration relationship among Red Chips, H Shares and the mainland stock market, and such co-integration has been strengthened after the opening of B Shares. The causality by using Granger Causality Test was tested based on Vector Error Correction Model. It was seen that the trend of Red chips has been the key indicator of the fluctuation of the mainland market but there is no the relation between H-Shares and the mainland stock market. From Granger Causality Test ,it also was indicated that Red Chips plays a leading role in the movement of H Shares, but the role has disappeared after Financial Crisis. The above conclusions were again proved by the results of Forecast Variance Decomposition and Impulse Response Function